Try opening the the URL as in the error message directly in the browser:
It will be downloaded and you should then be able to continue with running the downloaded installer.
I would side with Michael's answer, please try the suggested URL.
Also, If I'm not wrong, you must be using Internet Explorer. If so, I would suggest to disable Warn if Changing between secure and not secure mode option, please follow the Microsoft Official post for configuration.
- FYI, if this is the root cause, it is caused because the URL is redirected between nonsecure and secure mode.